Valor en riesgo de carteras de inversión del sector industrial periodo 2005-2015

Abstract

Abstract:The research applies the portfolio selection theory of Harry Markowitz, the analysis of portfolios of 15 Industrial companies was carried out. Then the profitability maximization, volatility minimization and the Sharpe ratio maximization of 3 investment portfolios at 15,10, 5 assets were determined and their value at risk was established. In addition, it was used (Yahoo Finance and Google Scholar) from March 1, 2005 to December 30, 2015, it was considered daily closing prices of 2768 data. The efficient anddiversified portfolios are those of 10 assets, and in the maximization of the profitability it resulted in a return of 0.10%, risk 2.89%, and a Sharpe of 3.09%, while the portfolio of minimum variance, with proportions of 0.02% CR, 0.04% CVV, 0.03% CW 0.65% DHR, 0.08% DOV, minimum risk of 1.43%, had a return of 0.05% and a Sharpe of 2.50%, and for maximum performance assets of 0.54% AME, 0.40% were combined AZZ, 0.06% CVV, and a return of 0.08% of, a risk of 1.90%, and a Sharpe of 3.53%.